Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers
J.W. Byers, I. Popova, B.J. Simkins
| Year of publication: |
2021
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|---|---|
| Authors: | Byers, John W. ; Popova, I. ; Simkins, Betty J. |
| Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 24.2021, p. 1-18
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| Subject: | Conditional value at risk | Risk capital | Robust estimation | Unsupervised machine learning | Value at risk | Risikomaß | Risk measure | Künstliche Intelligenz | Artificial intelligence | Robustes Verfahren | Robust statistics | Risiko | Risk | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2021.100174 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013392402